Pre-Market IV Report December 2, 2019

Pre-Market IV Report December 2, 2019

The following report is a snapshot of noteworthy changes in stock and option volumes, as well as changes in option implied volatilities. By monitoring this market data, traders can create strategies that capitalize on this often over looked information.

Options with increasing option implied volatility: ITCI AUPH S CLDR LULU CLVS ITCI AUPH PTON APA CHK WLL

Options expected to have increasing volume: CRM WDAY CPB WORK LE COUP AFL AZO HRB GE UNH NEM

General Electric (GE) December weekly call option implied volatility is at 29, December is at 27; compared to its 52-week range of 27 to 72 into hosting an investor day today. Call put ratio 3.4 calls to 1 put with focus on December weekly 11 calls.

Newmont Mining (NEM) December weekly call option implied volatility is at 22, December is at 23; compared to its 52-week range of 22 to 36 into discussing the firms longer term outlook today.

Market Vectors Retail ETF (RTH) December call option implied volatility is at 12, January is at 11; compared to its 52-week range of 12 to 38 into Cyber Monday and Holiday shopping.

SPDR S&P Retail ETF (XRT) 30-day option implied volatility is at 19; compared to its 52-week range of 17 to 38 into Cyber Monday and holiday shopping season.

UnitedHealth Group (UNH) December weekly call option implied volatility is at 22, December is at 21; compared to its 52-week range of 18 to 40 into hosting an analyst day on December 3.

Aflac (AFL) December weekly weekly calls option implied volatility is at 24, December is at 20; compared to its 52-week range of 13 to 32 into management hosting a 2020 outlook for the company’s business, operations and financial results on a conference call today.

SalesForce (CRM) December weekly call option implied volatility is at 39, December is at 29, January is at 24; compared to its 52-week range of 27 to 56 into the expected release of quarter results after the bell on December 3.

United States Oil Fund (USO) December weekly call option implied volatility is at 42, December is at 36, January is at 30; compared to its 52-week range of 22 to 62 as WTI Crude oil at upper end of 2-month range into OPEC meeting on December 4.

ExxonMobil (XOM) December weekly call option implied volatility is at 17, December and January is at 18; compared to its 52-week range of 15 to 39 as WTI Crude oil at upper end of 2-month range into OPEC meeting on December 4.

Biogen (BIIB) December weekly call option implied volatility is at 39, December is at 29, January is at 24; compared to its 52-week range of 25 to 48 into presents data aducanumab, its Alzheimer’s treatment on December 5.

United States Natural Gas (UNG) December weekly call option implied volatility is at 49, December is at 53, January is at 52; compared to its 52-week range of 21 to 112 as Natural Gas up 3%.

Boeing (BA) December weekly call option implied volatility is at 20, December is at 23, January is at 24; compared to its 52-week range of 23 to 46 into Max 737 delivery update.

lululemon athletica (LULU) December weekly call option implied volatility is at 22, December is at 46, January is at 37; compared to its 52-week range of 24 to 61 into expected release of quarter results on December 11.

iShares MSCI Brazil (EWZ) November call option implied volatility is at 24, December is at 25; compared to its 52-week range of 25 to 37 into President Trump Steel tariff tweets.

Straddle prices for stocks expected to report quarterly results this week

Coupa Software (COUP) December weekly 152.50 straddle priced for a move 9.5% into the expected release of quarter results today before the bell

Lands End (LE) December 12.50 straddle priced for a move of 15% into the expected release of quarter results before the bell on December 3

Marvell Technology (MRVL) December weekly 26.50 straddle priced for a move of 6% into the expected release of quarter results after the bell on December 3

SalesForce (CRM) December weekly 162.50 straddle priced for a move of 4.5% into the expected release of quarter results after the bell on December 3

Workday (WDAY) December weekly 180 straddle priced for a move 6% into the expected release of quarter results after the bell on December 3

At Home Group (ATHM) December 70 straddle priced for a move of 7.5% into the expected release of quarter results after the bell on December 4

Slack (WORK) December weekly 23 straddle priced for a move of 14% into the expected release of quarter results on December 4

Block H&R (HRB) December 24 straddle priced for a move of 8% into the expected release of quarter results after the bell on December 4

Campbell Soup Company (CPB) December 46.50 straddle priced for a move of 6.5% into the expected release of quarter results before the bell on December 4

RH (RH) December weekly 205 straddle priced for a move 12% into the expected release of quarter results after the bell on December 4

Dollar General (DG) December weekly 157.50 straddle priced for a move 5.5% into the expected release of quarter results before the bell on December 5

Duluth Holdings (DLTH) December 10 straddle priced for a move 20% into the expected release of quarter results before the bell on December 5

Express (EXPR) December 4 straddle priced for a move 20% into the expected release of quarter results before the bell on December 5

Kroger (KR) December weekly 27.5 straddle priced for a move 5.5% into the expected release of quarter results before the bell on December 5

Signet (SIG) December weekly 18 straddle priced for a move 17% into the expected release of quarter results on December 5

Zoom Video Communications (ZM) December weekly 74.50 straddle priced for a move 12% into the expected release of quarter results after the bell on December 5

Zuora (ZUO) December 16 straddle priced for a move 16% into the expected release of quarter results after the bell on December 5

Big Lots (BIG) December 20 straddle priced for a move 14% into the expected release of quarter results before the bell on December 6

Options with decreasing option implied volatility: GRUB EXPE FIT MDCO TIF CCXI MDCO NTNX I ANF GES CLVS SPPI ITCI RSX AKBA GTT OILD UCO X
Increasing unusual option volume: SAIL AKBA LIN TRTN TECD GTT UXIN INVA CLVS PTI
Increasing unusual call option volume: LIN SAIL INVA UXIN CLVS MYOV EDIT AMLP
Increasing unusual put option volume: GTT FAZ DDOG AVEO VIPS ARWR BHR CSIQ FISV
Popular stocks with increasing unusual: ROKU GE NIO FCX CLVS
Active options: AAPL AMZN BABA FB AMD TSLA X DIS ROKU BYND HD GE MSFT NFLX CLVS FCX TWTR BAC NVDA NIO

Global S&P Futures are recently up 10.75 from previous day. Nikkei 225 up 1%, DAX up 0.6%, WTI Crude oil is recently at $56.62, natural gas up 3%, gold at $1461 an ounce